Funny way to limit risk. Think in nominal amount not in number of shares. Long 200 shares of xiv means short 200 x 21.28 / 20.42 i.e 208 shares...
XIV comes close to zero.
In the replicating strategy, one locks an implied forward volatility which can be compared to the VIX futures price. When the strategy is in...
I meant static arbitrage.
I did not state it was a statically arbitrage. And you are right: in this strategy one can see that the number of options to purchase or to write...
Ok we are not talking about the same thing. Two winners! By hedging a single VIX futures I mean replicating VIX with a truncated series of...
I disagree. Using an IB paper account, we can see that hedging a single VIX futures with SPY options (series of calendar spreads) requires a...
Hi surfer25, one may use IB Risk Navigator: https://www.interactivebrokers.com/en/software/pdfhighlights/PDF-PriceRisk.php?ib_entity=de
With the same notation, let's define f(S)= Call(S,Kdown) + Put(S,Kup) and Sm such that Dc(Sm)+Dp(Sm) = 0 i.e. f'(Sm) = 0. Since f"(Sm) =...
By linear approximation: Dc = 0.254 + Gc (S-584) Call Delta Dp = -0.286 +Gp (S-584) Put Delta where Gc and Gp are the Call and Put...
CS structures this in a swap where the customer receives at maturity a coupon of 10% plus the payoff of a DOC K=110% B=55% and pays the payoff of...
Best edges I know: like poker find fish either people, firms or states.
I agree with you: if you do not perform risk-adjusted performance analysis, worst case scenario analysis (i.e. value at risk) may prevent you from...
I will tell Sharpe about it.:p
Thank you Tom. My point is that in case of a risk-adjusted porfolio, the expected risk on one instrument should be the same whatever the...
What a great project! You wrote: I do not understand why. So let's take an example. Let say your portfolio contains 2 securities: A (last...
I think what you need is a multi-layer defense system. The first layer is the firewall. Then, as internal defense you can use antivirus...
Thank you very much Tradator. It works now.:D
After having operated successfully with the TwsDde.xls, I have problems with it now. I am not able to send orders from the spreadsheet: the error...
First, I think you have to consider the financing of the whole portfolio (interests earned/paid on the purchase/sale of shares/options). Then,...
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